S&P 500 Sectors: Beta, Correlation, R2 & Weightings
Most of the information from Table 5 comes from State Street’s SPDR ETF website. SPDR ETF symbols are shown in parentheses. R2 figures are from Morningstar and represent fund categories; not shown are precious metals funds (R2 = 12) and natural resource funds (R2 = 77).
Table 5
S&P 500 Sector Stats, November 2015
|
SPDR ETF Sector (symbol) |
Beta |
Correlationa |
R2 |
Weightingb |
|
Consumer Discretionary (XLY) |
1.0 |
0.90 |
-- |
13% |
|
Consumer Staples (XLP) |
0.8 |
0.85 |
-- |
10 |
|
Energy (XLE) |
1.2 |
0.70 |
-- |
7 |
|
Financial Services (XLFS) |
-- |
-- |
-- |
13 |
|
Financials (XLF) |
1.0 |
0.90 |
81 |
17 |
|
Health Care (XLV) |
1.0 |
0.85 |
61 |
15 |
|
Industrials (XLI) |
1.0 |
0.95 |
-- |
10 |
|
Materials (XLB) |
1.0 |
1.00 |
12 |
3 |
|
Real Estate (XLRE) |
n/a |
n/a |
59 |
3 |
|
Technology (XLK) |
1.0 |
0.90 |
72 |
23 |
|
Utilities (XLU) |
0.7 |
0.60 |
43 |
3 |
Note: All data as of November 2015
a3-year return correlation to the S&P 500 (total weighting is > 100% due to SPDR ETF holdings)
bWeighting of sector to the S&P 500
Table 6
Additional S&P 500 Sector Stats, November 2015
|
SPDR ETF Sector |
SDa |
P/E Ratio |
P/B Ratio |
|
Consumer Discretionary |
11% |
22 |
4.8 |
|
Consumer Staples |
-- |
23 |
5.3 |
|
Energy |
17 |
26 |
1.6 |
|
Financial Services |
14 |
13 |
1.1 |
|
Financials |
11 |
15 |
1.3 |
|
Health Care |
12 |
24 |
3.7 |
|
Industrials |
12 |
19 |
3.7 |
|
Materials |
16 |
27 |
3.0 |
|
Real Estate |
14 |
31 |
17.7 |
|
Technology |
12 |
22 |
3.8 |
|
Utilities |
14 |
16 |
1.7 |
aP/E ratios are for iShares ETF sector funds as of October 2015